A convex-risk-measure based model and genetic algorithm for portfolio selection

DOI10.1155/2015/451627zbMATH Open1395.91425OpenAlexW1979090547WikidataQ59118609 ScholiaQ59118609MaRDI QIDQ1665701FDOQ1665701

Authors: Jie Hu, Ning Dong, Weijia Wang 

Publication date: 27 August 2018

Published in: Mathematical Problems in Engineering (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1155/2015/451627

Recommendations

• Optimal portfolio selection by CVAR based Sharpe ratio -- genetic algorithm approach
• A genetic algorithm for a portfolio optimization model
• A genetic algorithm for portfolio selection problems.
• A model for portfolio selection with order of expected returns.
• Portfolio optimization and risk measurement based on non-dominated sorting genetic algorithm

Mathematics Subject Classification ID

Applications of mathematical programming (90C90) Portfolio theory (91G10)

Cites Work

• Coherent measures of risk
• Generalized deviations in risk analysis
• Convex measures of risk and trading constraints
• Risk measures via \(g\)-expectations
• Title not available (Why is that?)
• Convex risk measures for portfolio optimization and concepts of flexibility
• Economic Capital Allocation Derived from Risk Measures
• Reflections on gains and losses: a \(2 \times 2 \times 7\) experiment
• Tail nonlinearly transformed risk measure and its application
• A new class of coherent risk measures based on p‐norms and their applications

Cited In (1)

• Optimal portfolio selection by CVAR based Sharpe ratio -- genetic algorithm approach

This page was built for publication: A convex-risk-measure based model and genetic algorithm for portfolio selection

Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q1665701)